Fund managers turning away money?! Millburn, a $6 billion firm, is closing its Millburn Commodity Program (“MILCOM”) to new investments effective March 1, 2018. MILCOM is not particularly big at $189 million. While assets have been increasing at a good pace with AUM at $155 million as recent as Nov 2017, the fund has seen more assets at $232 million in Dec 2016. The fund charges 2% management (and 20% performance) so technically it can make more management fees by taking in more capital.
MILCOM trades a diversified portfolio commodity futures contracts in Energy, Metals, Grains, Softs and Livestock. I guess there are only so many pork belly and orange juice contracts you can trade. But as mentioned, the fund has been bigger before so why close now?
Millburn states in a letter to their investors that MILCOM is capacity-constrained by some of the constituent markets in its portfolio, especially by the relative value or “spread” markets. Are more systematic funds looking beyond traditional equities and bonds, so it’s harder to make money from relative value trades even in more esoteric instruments?
Of course, Millburn is not going to be completely altruistic and so are reminding investors that Millburn’s more diversified quantitative Multi-Markets Program and Diversified Program, each of which have a substantial allocation to outright (non-spread) commodity futures markets, remain open for investment.
Millburn’s decision to soft close MILCOM is in line with Systematica’s pending closing of Systematica Alternative Markets which is currently at $1.67 billion. AHL Evolution has closed to new investments, having reached capacity.